Mixed stochastic differential equations: Existence and uniqueness result
Probability
2015-11-03 v1
Abstract
In this paper we shall establish an existence and uniqueness result for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter $H > \frac{1}{2} and a multidimensional standard Brownian motion under a weaker condition than the Lipschitz one.
Keywords
Cite
@article{arxiv.1511.00191,
title = {Mixed stochastic differential equations: Existence and uniqueness result},
author = {José Luís da Silva and Mohamed Erraoui and El Hassan Essaky},
journal= {arXiv preprint arXiv:1511.00191},
year = {2015}
}
Comments
21 pages